NPORT-EX 2 systematic.htm NPORT-EX

CAMPBELL SYSTEMATIC MACRO FUND
  
CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
NOVEMBER 30, 2021 (UNAUDITED)
  
                     
   
COUPON*
  
MATURITY DATE
  
PAR
(000's)
    
VALUE
  
SHORT-TERM INVESTMENTS — 68.3%
                    
U.S. TREASURY OBLIGATIONS — 68.3%
                    
United States Treasury Bill
    
0.020%
12/16/21
  
$
20,000
    
$
19,999,458
  
United States Treasury Bill
    
0.020%
01/20/22
    
20,000
      
19,998,812
  
United States Treasury Bill
    
0.025%
02/10/22
    
18,000
      
17,998,438
  
United States Treasury Bill
    
0.025%
04/14/22
    
20,000
      
19,995,347
  
United States Treasury Bill
    
0.051%
05/12/22
    
18,500
      
18,493,132
  
TOTAL U.S. TREASURY OBLIGATIONS
                          
(Cost $96,492,367)
                      
96,485,187
  
                           
MONEY MARKET DEPOSIT ACCOUNT — 9.6%
             
NUMBER OF
SHARES
(000's)
          
U.S. Bank Money Market Deposit Account, 0.01%(a)
              
13,543
      
13,543,857
  
TOTAL MONEY MARKET DEPOSIT ACCOUNT
                      
13,543,857
  
(Cost $13,543,857)
                          
                           
TOTAL SHORT-TERM INVESTMENTS
                      
110,029,044
  
(Cost $110,036,224)
                          
TOTAL INVESTMENTS — 77.9%
                          
(Cost $110,036,224)
                      
110,029,044
  
                           
OTHER ASSETS IN EXCESS OF LIABILITIES — 22.1%
                      
31,195,092
  
NET ASSETS — 100.0%
                    
$
141,224,136
  
 ____
                
*   Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
        
(a) The rate shown is as of November 30, 2021.
              
                 
The accompanying notes are an integral part of the consolidated portfolio of investments.


CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2021 (UNAUDITED)
Futures contracts outstanding as of November 30, 2021 were as follows:
                   
                 
VALUE AND
                 
UNREALIZED
   
EXPIRATION
  
NUMBER OF
  
NOTIONAL
    
APPRECIATION/
LONG CONTRACTS
 
DATE
 
CONTRACTS
 
COST
 
  
(DEPRECIATION)
90-Day Euro
  
Mar-23
  
216
  $
                53,392,500
   $
             48,944
Amsterdam Index
  
Dec-21
  
8
  
                    1,410,162
    
               (13,450)
Australian 10-Year Bond
  
Dec-21
  
217
  
                  21,562,055
    
               253,465
Australian 3-Year Bond
  
Dec-21
  
104
  
                    8,495,800
    
                 30,767
Brent Crude
  
Mar-22
  
75
  
                    5,166,000
    
             (424,289)
CAC40 10 Euro
  
Dec-21
  
40
  
                    3,046,634
    
             (127,126)
Cocoa
  
Mar-22
  
92
  
                    2,158,320
    
             (124,068)
Copper
  
Mar-22
  
16
  
                    1,712,000
    
               (43,589)
Corn
  
Mar-22
  
155
  
                    4,398,125
    
               (59,532)
Cotton No.2
  
Mar-22
  
128
  
                    6,810,240
    
             (527,831)
DAX Index
  
Dec-21
  
7
  
                    3,005,381
    
               (72,056)
DJIA Mini E-CBOT
  
Dec-21
  
26
  
                    4,479,410
    
             (205,279)
Euro BUXL 30-Year Bond Futures
  
Dec-21
  
9
  
                    2,226,320
    
                 38,730
Euro Stoxx 50
  
Dec-21
  
121
  
                    5,594,686
    
             (210,988)
Euro-Bobl
  
Dec-21
  
58
  
                    8,912,856
    
                 (8,857)
Euro-Bund
  
Dec-21
  
395
  
                  77,216,192
    
               115,851
Euro-Oat
  
Dec-21
  
9
  
                    1,717,508
    
                   2,020
Euro-Schatz
  
Dec-21
  
5
  
                       637,475
    
                    (261)
FTSE Taiwan Index
  
Dec-21
  
100
  
                    6,044,000
    
             (144,050)
FTSE/JSE TOP 40
  
Dec-21
  
29
  
                    1,168,096
    
                   1,158
FTSE/MIB Index
  
Dec-21
  
36
  
                    5,267,147
    
             (223,299)
Gasoline RBOB
  
Jan-22
  
59
  
                    4,807,568
    
             (711,681)
IBEX 35 Index
  
Dec-21
  
4
  
                       378,035
    
               (27,638)
JPN 10-Year Bond (Osaka Securities Exchange)
  
Dec-21
  
22
  
                  29,572,079
    
                 20,230
Kansas City Hard Red Winter Wheat
  
Mar-22
  
17
  
                       698,913
    
               (30,324)
London Metals Exchange Aluminum
  
Dec-21
  
258
  
                  17,031,225
    
             (857,626)
London Metals Exchange Aluminum
  
Mar-22
  
93
  
                    6,106,613
    
                 11,875
London Metals Exchange Copper
  
Dec-21
  
269
  
                  64,038,812
    
               826,919
London Metals Exchange Copper
  
Mar-22
  
52
  
                  12,268,750
    
             (244,472)
London Metals Exchange Nickel
  
Dec-21
  
152
  
                  18,246,384
    
               484,012
London Metals Exchange Nickel
  
Mar-22
  
40
  
                    4,772,880
    
                 31,841
London Metals Exchange Zinc
  
Dec-21
  
270
  
                  21,726,562
    
               990,752
London Metals Exchange Zinc
  
Mar-22
  
4
  
                       319,800
    
               (10,229)
Low Sulphur Gasoil G Futures
  
Jan-22
  
44
  
                    2,630,100
    
             (308,101)
Nasdaq 100 E-Mini
  
Dec-21
  
3
  
                       969,030
    
                 (2,376)
OMX Stockholm 30 Index
  
Dec-21
  
389
  
                    9,678,076
    
             (307,231)
Russell 2000 E-Mini
  
Dec-21
  
8
  
                       878,920
    
               (66,332)
S&P 500 E-Mini
  
Dec-21
  
9
  
                    2,054,812
    
               (25,381)
S&P Mid 400 E-Mini
  
Dec-21
  
9
  
                    2,435,580
    
             (164,269)
SGX Nifty 50
  
Dec-21
  
93
  
                    3,173,811
    
               (77,440)
Silver
  
Mar-22
  
53
  
                    6,045,975
    
             (365,178)
Soybean Oil
  
Mar-22
  
189
  
                    6,273,288
    
             (322,904)
SPI 200 Index
  
Dec-21
  
70
  
                    9,020,580
    
             (175,455)
Topix Index
  
Dec-21
  
11
  
                    1,845,092
    
             (132,815)
U.S. Treasury 5-Year Notes
  
Mar-22
  
125
  
                  15,174,805
    
               (23,438)
U.S. Treasury 10-Year Notes
  
Mar-22
  
40
  
                    5,232,500
    
               (15,598)
U.S. Treasury Long Bond (Chicago Board of Trade)
  
Mar-22
  
186
  
                  30,155,250
    
               173,961
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
  
Mar-22
  
6
  
                    1,203,375
    
                 22,864
                $
        (2,999,774)
                   
                 
VALUE AND
                 
UNREALIZED
   
EXPIRATION
  
NUMBER OF
  
NOTIONAL
    
APPRECIATION/
SHORT CONTRACTS
 
DATE
 
CONTRACTS
 
AMOUNT
 
  
(DEPRECIATION)
3-Month Euro Euribor
  
Dec-22
  
23
  $
                (6,545,829)
   $
              (2,851)
Bank Acceptance
  
Mar-23
  
33
  
                  (6,328,369)
    
                 (5,851)
Canadian 10-Year Bond
  
Mar-22
  
243
  
                (26,851,838)
    
             (383,396)
Cattle Feeder Futures
  
Jan-22
  
2
  
                     (164,850)
    
                 (5,981)
Coffee
  
Mar-22
  
30
  
                  (2,613,375)
    
               (83,528)
FTSE 100 Index
  
Dec-21
  
34
  
                  (3,201,221)
    
                 15,014
Gold 100 Oz
  
Feb-22
  
32
  
                  (5,684,800)
    
               117,732
Hang Seng Index
  
Dec-21
  
21
  
                  (3,160,907)
    
               109,462
Live Cattle
  
Feb-22
  
32
  
                  (1,765,120)
    
                 16,386
London Metals Exchange Aluminum
  
Mar-22
  
35
  
                  (2,298,188)
    
                   1,697
London Metals Exchange Aluminum
  
Dec-21
  
258
  
                (17,031,225)
    
               579,316
London Metals Exchange Copper
  
Mar-22
  
55
  
                (12,976,563)
    
               123,028
London Metals Exchange Copper
  
Dec-21
  
269
  
                (64,038,812)
    
             (470,866)
London Metals Exchange Nickel
  
Mar-22
  
24
  
                  (2,863,728)
    
                 (1,893)
London Metals Exchange Nickel
  
Dec-21
  
152
  
                (18,246,384)
    
             (606,281)
London Metals Exchange Zinc
  
Mar-22
  
18
  
                  (1,439,100)
    
                 15,571
London Metals Exchange Zinc
  
Dec-21
  
270
  
                (21,726,562)
    
             (898,691)
Long Gilt
  
Mar-22
  
299
  
                (50,215,744)
    
             (505,023)
MSCI Singapore Exchange ETS
  
Dec-21
  
64
  
                  (1,614,364)
    
                 47,320
Natural Gas
  
Jan-22
  
1
  
                       (45,670)
    
                   7,848
Nikkie 225 (Osaka Securities Exchange)
  
Dec-21
  
6
  
                  (1,458,132)
    
                 56,150
NY Harbor Ultra-Low Sulfur Diesel
  
Jan-22
  
57
  
                  (4,932,358)
    
               670,195
Palladium
  
Mar-22
  
4
  
                     (682,200)
    
               150,630
Platinum
  
Jan-22
  
5
  
                     (231,825)
    
                 19,258
S&P/TSX 60 Index
  
Dec-21
  
10
  
                  (1,950,761)
    
                 28,896
SONIA 3-Month Index Futures
  
Dec-22
  
158
  
                (51,952,395)
    
               (54,461)
Soybean
  
Jan-22
  
3
  
                     (182,587)
    
                      404
Soybean Meal
  
Mar-22
  
13
  
                     (443,430)
    
                   1,803
Sugar No. 11 (World)
  
Mar-22
  
127
  
                  (2,645,664)
    
               126,524
U.S. Treasury 2-Year Notes
  
Mar-22
  
65
  
                (14,217,734)
    
               (25,716)
Wheat
  
Mar-22
  
189
  
                  (7,439,512)
    
                 99,320
WTI Crude
  
Jan-22
  
11
  
                     (727,980)
    
                 39,283
                $
           (818,701)
Total Futures Contracts
               $
      (3,818,475)
 

The accompanying notes are an integral part of the consolidated portfolio of investments.

 
CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2021 (UNAUDITED)

Forward foreign currency contracts outstanding as of November 30, 2021 were as follows:
                   
             
UNREALIZED
     
EXPIRATION
      
APPRECIATION/
CURRENCY PURCHASED
  
CURRENCY SOLD
DATE
COUNTERPARTY
    
(DEPRECIATION)
AUD
134,100,000
  
USD
98,630,687
Dec 15 2021
UBS
$
                        (3,019,240)
BRL
49,450,000
  
USD
8,943,821
Dec 15 2021
UBS
    
                             (176,648)
CAD
219,700,000
  
USD
174,852,772
Dec 15 2021
UBS
    
                          (2,841,715)
CHF
60,600,000
  
USD
65,962,524
Dec 15 2021
UBS
    
                                 88,746
CLP
9,840,000,000
  
USD
12,446,754
Dec 15 2021
UBS
    
                             (573,958)
CNH
32,500,000
  
USD
5,029,465
Dec 15 2021
UBS
    
                                 69,544
COP
32,580,000,000
  
USD
8,591,791
Dec 15 2021
UBS
    
                             (451,470)
CZK
236,400,000
  
USD
10,930,075
Dec 15 2021
UBS
    
                             (423,697)
EUR
155,650,000
  
USD
181,198,185
Dec 15 2021
UBS
    
                          (4,571,675)
GBP
216,950,000
  
USD
298,125,579
Dec 15 2021
UBS
    
                          (9,506,339)
HUF
7,044,000,000
  
USD
23,068,981
Dec 15 2021
UBS
    
                          (1,153,522)
IDR
57,925,000,000
  
USD
4,022,667
Dec 15 2021
UBS
    
                                 15,665
INR
1,819,000,000
  
USD
24,525,785
Dec 15 2021
UBS
    
                             (358,927)
JPY
37,089,000,000
  
USD
333,957,815
Dec 15 2021
UBS
    
                          (5,746,458)
KRW
3,450,000,000
  
USD
2,929,368
Dec 15 2021
UBS
    
                               (25,801)
MXN
803,100,000
  
USD
39,367,985
Dec 15 2021
UBS
    
                          (2,039,800)
NOK
233,400,000
  
USD
26,955,106
Dec 15 2021
UBS
    
                          (1,151,534)
NZD
155,500,000
  
USD
110,009,671
Dec 15 2021
UBS
    
                          (3,896,007)
PHP
1,045,500,000
  
USD
20,669,499
Dec 15 2021
UBS
    
                                 71,936
PLN
93,075,000
  
USD
23,955,819
Dec 15 2021
UBS
    
                          (1,314,765)
RUB
432,000,000
  
USD
5,838,023
Dec 15 2021
UBS
    
                               (25,363)
SEK
676,950,000
  
USD
77,916,991
Dec 15 2021
UBS
    
                          (2,785,542)
SGD
12,495,000
  
USD
9,238,138
Dec 15 2021
UBS
    
                               (81,820)
TWD
177,750,000
  
USD
6,412,643
Dec 15 2021
UBS
    
                               (20,221)
USD
135,869,980
  
AUD
184,100,000
Dec 15 2021
UBS
    
                            4,609,225
USD
8,958,586
  
BRL
48,800,000
Dec 15 2021
UBS
    
                               306,654
USD
168,636,636
  
CAD
212,100,000
Dec 15 2021
UBS
    
                            2,575,894
USD
68,615,677
  
CHF
63,100,000
Dec 15 2021
UBS
    
                             (160,480)
USD
13,383,011
  
CLP
10,910,000,000
Dec 15 2021
UBS
    
                               219,170
USD
7,540,381
  
CNH
48,900,000
Dec 15 2021
UBS
    
                             (131,667)
USD
13,527,885
  
COP
52,530,000,000
Dec 15 2021
UBS
    
                               402,930
USD
8,364,927
  
CZK
182,800,000
Dec 15 2021
UBS
    
                               240,705
USD
205,670,420
  
EUR
176,050,000
Dec 15 2021
UBS
    
                            5,894,660
USD
322,695,681
  
GBP
235,300,000
Dec 15 2021
UBS
    
                            9,664,535
USD
21,248,387
  
HUF
6,558,000,000
Dec 15 2021
UBS
    
                               844,982
USD
904,273
  
IDR
12,950,000,000
Dec 15 2021
UBS
    
                                   1,443
USD
18,037,007
  
INR
1,354,000,000
Dec 15 2021
UBS
    
                                 48,043
USD
364,547,040
  
JPY
40,395,000,000
Dec 15 2021
UBS
    
                            7,079,927
USD
10,688,780
  
KRW
12,480,000,000
Dec 15 2021
UBS
    
                               185,440
USD
38,101,677
  
MXN
786,900,000
Dec 15 2021
UBS
    
                            1,526,469
USD
36,071,334
  
NOK
309,300,000
Dec 15 2021
UBS
    
                            1,876,626
USD
110,125,401
  
NZD
156,600,000
Dec 15 2021
UBS
    
                            3,261,095
USD
16,348,471
  
PHP
831,000,000
Dec 15 2021
UBS
    
                             (137,548)
USD
26,842,939
  
PLN
107,475,000
Dec 15 2021
UBS
    
                               698,998
USD
3,131,205
  
RUB
231,000,000
Dec 15 2021
UBS
    
                                 23,046
USD
96,559,410
  
SEK
835,800,000
Dec 15 2021
UBS
    
                            3,797,957
USD
24,919,310
  
SGD
33,609,000
Dec 15 2021
UBS
    
                               290,684
USD
19,406,688
  
TWD
534,600,000
Dec 15 2021
UBS
    
                               180,870
USD
31,778,199
  
ZAR
476,800,000
Dec 15 2021
UBS
    
                            1,865,497
ZAR
388,400,000
  
USD
25,709,448
Dec 15 2021
UBS
    
                          (1,342,642)
Total Forward Foreign Currency Contracts 
       
$
 3,903,902
                   
 
AUD
Australian Dollar
    
JPY
Japanese Yen
        
BRL
Brazilian Real
    
KRW
South Korean Won
        
CAD
Canadian Dollar
    
MXN
Mexican Peso
        
CHF
Swiss Franc
    
NOK
Norwegian Krone
        
CLP
Chilean Peso
    
NZD
New Zealand Dollar
        
CNH
Chinese Yuan Renminbi
    
PHP
Philippine Peso
        
COP
Columbian Peso
    
PLN
Polish Zloty
        
CZK
Czech Koruna
    
RUB
Russian Ruble
        
EUR
Euro
    
SEK
Swedish Krona
        
GBP
British Pound
    
SGD
Singapore Dollar
        
HUF
Hungarian Forint
    
TWD
Taiwan New Dollar
        
IDR
Indonesian Rupiah
    
UBS
Union Bank of Switzerland
      
INR
Indian Rupee
    
USD
United States Dollar
      
       
ZAR
South African Rand
        
                   
The accompanying notes are an integral part of the consolidated portfolio of investments.

 
CAMPBELL SYSTEMATIC MACRO FUND
  
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
NOVEMBER 30, 2021 (UNAUDITED)
  
                               
CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Systematic Macro Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Advantage Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the acts of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $10,279,093, which represented 7.28% of the Fund’s net assets.
                               
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the RBB, Fund, Inc.’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
                               
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
                               
• Level 1 – Prices are determined using quoted prices in active markets for identical securities.
              
                               
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
    
                               
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
      
                               
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
        
                               
The following is a summary of the inputs used, as of  November 30, 2021, in valuing the Fund’s investments carried at fair value:
        

 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Short-Term Investments
  
$
110,029,044
    
$
110,029,044
    
$
-
    
$
-
  
 
Commodity Contracts
                                
 
Futures Contracts
    
4,314,395
      
4,314,395
      
-
      
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
258,000
      
258,000
      
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
706,832
      
706,832
      
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
45,840,741
      
-
      
45,840,741
      
-
  
 
Total Assets
  
$
161,149,012
    
$
115,308,271
    
$
45,840,741
    
$
-
  
                                   
 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Commodity Contracts
                                
 
Futures Contracts
  
$
(6,097,065
)
  
$
(6,097,065
)
  
$
-
    
$
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
(1,975,185
)
    
(1,975,185
)
    
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
(1,025,452
)
    
(1,025,452
)
    
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
(41,936,839
)
    
-
      
(41,936,839
)
    
-
  
 
Total Liabilities
  
$
(51,034,541
)
  
$
(9,097,702
)
  
$
(41,936,839
)
  
$
-
  

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
                               
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
                               
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
                               
For the period ended November 30, 2021, the Fund had no Level 3 transfers.
                
                               
For more information with regard to significant accounting policies, see the most recent annual report or prospectus filed with the Securities and Exchange Commission.